Parametric or Non-Parametric Estimation of Value-At-Risk

Grzegorz Mentel

Abstract

In the financial analyses the fact of predicting future states of the instruments subjected to investments isextremely important. It allows reducing risk and maximizing potential profits. That is why any ways whichenable to predict the further negative results of taking decisions are very important and the knowledge about themeasures and their efficiency are an additional advantage. Thus, the paper in which value at risk and anassessment of this measure are discussed seems to be of interest.

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